I detected several indexes that need reindexing, then I created a simple script to call REINDEX CONCURRENTLY for them

reindex index concurrently public."chp_id2015";
reindex index concurrently public."chp_tm2015";
reindex index concurrently public."chp_or2015";

When I call the script from pgadmin I get

ERROR:  REINDEX CONCURRENTLY cannot run inside a transaction block 
SQL state: 25001

It might be some option from pgadmin (by default the session has AUTOCOMMIT ON)